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International Review of Economics and Finance
Volumn 18, Issue 1, 2009, Pages 110-112
A note on the hedging effectiveness of GARCH models
Author keywords

Conventional hedge ratio; GARCH hedge ratio; Hedging effectiveness
Indexed keywords

EID: 56849134538     PISSN: 10590560     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.iref.2007.07.004     Document Type: Article
Times cited : (37)
References (10)
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    • Alexander, C.1    Barbosa, A.2
  • 2
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    • Hedging effectiveness in the index futures market
    • Cardiff Business School
    • Copeland L., and Zhu Y. Hedging effectiveness in the index futures market. Working paper vol. 10 (2006), Cardiff Business School
    • (2006) Working paper , vol.10
    • Copeland, L.1    Zhu, Y.2
  • 3
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    • The hedging performance of the new futures markets
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    • Ederington, L.H.1
  • 4
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    • Simultaneously determined time-varying hedge ratios in the soybean complex
    • Garcia P., Roh J., and Leuthold M. Simultaneously determined time-varying hedge ratios in the soybean complex. Applied Economics 27 (1995) 1127-1134
    • (1995) Applied Economics , vol.27 , pp. 1127-1134
    • Garcia, P.1    Roh, J.2    Leuthold, M.3
  • 5
    • 0034412722 scopus 로고    scopus 로고
    • Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract
    • Kavussanos M.G., and Nomikos N.K. Futures hedging when the structure of the underlying asset changes: The case of the BIFFEX contract. Journal of Futures Markets 20 (2000) 775-801
    • (2000) Journal of Futures Markets , vol.20 , pp. 775-801
    • Kavussanos, M.G.1    Nomikos, N.K.2
  • 6
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    • Time-varying distributions and dynamic hedging with foreign currency futures
    • Kroner K., and Sultan J. Time-varying distributions and dynamic hedging with foreign currency futures. Journal of Financial and Quantitative Analysis 28 (1993) 535-551
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 535-551
    • Kroner, K.1    Sultan, J.2
  • 7
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    • The use and abuse of the hedging effectiveness measure
    • Lien D. The use and abuse of the hedging effectiveness measure. International Review of Financial Analysis 14 (2005) 277-282
    • (2005) International Review of Financial Analysis , vol.14 , pp. 277-282
    • Lien, D.1
  • 8
    • 27344443276 scopus 로고    scopus 로고
    • A note on the superiority of the OLS hedge ratio
    • Lien D. A note on the superiority of the OLS hedge ratio. Journal of Futures Markets 25 (2005) 1121-1126
    • (2005) Journal of Futures Markets , vol.25 , pp. 1121-1126
    • Lien, D.1
  • 9
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    • Evaluating hedging performance of the constant-correlation GARCH model
    • Lien D., Tse Y.K., and Tsui A. Evaluating hedging performance of the constant-correlation GARCH model. Applied Financial Economics 12 (2002) 791-798
    • (2002) Applied Financial Economics , vol.12 , pp. 791-798
    • Lien, D.1    Tse, Y.K.2    Tsui, A.3
  • 10
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    • Estimating time-varying optimal hedge ratios on futures markets
    • Myers R. Estimating time-varying optimal hedge ratios on futures markets. Journal of Futures Markets 11 (1991) 39-53
    • (1991) Journal of Futures Markets , vol.11 , pp. 39-53
    • Myers, R.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.